PhD student, ICMA Centre
Henley Business School, University of Reading
The reversal of stale order-flow signals and the latency-information frontier
A trading signal acted on ten milliseconds late was right 55% of the time in the high-priced US stocks in 2019 and 38% of the time in 2026. 30 slides and a technical backup.
Open the presentationRama Cont, Arseniy Kukanov and Sasha Stoikov, Journal of Financial Econometrics, 2014
Over ten-second intervals, the move in the price of 50 US stocks is close to a straight line in one number, the order flow imbalance at the best bid and the best ask, and the line is flatter where the queues at those prices are deeper. A seminal-study presentation for ICM116.
Open the presentation
